If I have a file named "C\Test\mypic.jpg", can I create a shortcut with path "C\Test2\mypic.jpg"? Windows always seems to add a ".lnk" suffix, which is unwanted in my case.
Link in this case can mean several things but we can unpack all the possible scenarios:
A shortcut (.lnk file). These files must have the .lnk extension because the file extension is how Windows decides which handler to invoke when you double-click/execute the file. If you create a shortcut to a jpg file the real name can be link.jpg.lnk but the user will see the name as link.jpg in Explorer because .lnk is a special extension that is hidden.
A symbolic link (symlink). These are links on the filesystem level and can have any extension. mklink "c:\mylink.jpg" "c:\file.jpg"
A hardlink. This is another name for the same file (alias), it does not create a shortcut. mklink /H "c:\anothername.jpg" "c:\file.jpg"